NNN Options History — November 2021

In November 2021, NNN traded between $44.56 and $46.82. ATM implied volatility averaged 20.9%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.7% (HV 20d: 15.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2021-11-04: Highest Volume — 912 contracts
  • 2021-11-30: Largest IV spike — 41.1% change
  • 2021-11-30: Highest IV Rank — 30.7%
  • 2021-11-30: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.11$44.56$46.82$45.59$44.56
Max Pain$49.29$45.00$50.00$45.00$50.00
ATM IV20.9%16.2%34.1%22.6%34.1%
Expected Move6.2%5.2%9.8%6.5%9.8%
HV 20d15.3%13.1%16.6%14.9%16.2%
HV 60d16.6%15.9%17.2%16.8%17.2%
IV Rank11.0%3.9%30.7%13.5%30.7%
IV Percentile28.6%2.4%98.0%38.9%98.0%
Term Structure2.1%-1.7%13.2%-1.6%13.2%
VWIV21.7%15.6%35.2%22.8%35.2%
Skew 25d12.0%1.1%72.5%11.3%15.4%
Skew 10d37.9%-0.0%145.4%19.2%24.2%
Call IV 25d19.2%13.4%23.6%16.2%21.6%
Put IV 25d31.2%21.7%96.2%27.5%37.0%
Bid-Ask Spread %86.2237.80108.2895.23108.28
Gamma HHI0.410.350.490.370.35
Net GEX-217.7K-424.0K-44.0K-233.8K-181.6K
Net DEX300.8K-1.6M2.6M2.0M2.6M
Net VEX-38.0K-44.5K-30.5K-41.3K-37.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.131.920.791.51
Total Volume432.476291912502361
Total OI8,970.6198,1279,6738,5538,431

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$45.59$45.0022.6%6.5%14.9%13.5%22.8%11.3%-1.6%-233.8K2.0M-41.3K0.7995.23N/AN/A2802223,7454,808
2021-11-02$46.07$45.0018.7%5.4%15.1%7.6%20.9%29.3%5.3%-177.7K113.9K-44.5K0.3598.01N/AN/A221773,8274,831
2021-11-03$46.40$45.0023.4%6.7%15.1%14.7%24.5%1.1%-0.3%-157.8K-344.5K-42.5K0.44106.53N/AN/A2261003,8334,824
2021-11-04$46.15$50.0021.3%5.7%15.2%11.5%20.3%3.9%4.3%-188.4K27.1K-43.4K0.1590.25N/AN/A7931193,9244,845
2021-11-05$46.77$50.0021.1%6.0%15.5%11.2%19.6%4.3%-1.4%-50.2K-1.6M-42.2K0.1383.06N/AN/A642854,4634,847
2021-11-08$45.94$50.0016.4%6.7%16.6%4.2%23.4%6.7%-1.7%-174.0K349.0K-42.4K0.4469.28N/AN/A4261894,4314,853
2021-11-09$45.95$50.0016.2%6.3%16.3%3.9%20.3%5.2%2.2%-287.7K1.0M-41.2K0.3484.22N/AN/A3971364,3664,918
2021-11-10$45.96$50.0018.2%5.2%15.8%6.9%18.7%45.7%2.6%-367.9K1.4M-36.6K0.4477.10N/AN/A2811244,3064,989
2021-11-11$46.38$50.0021.2%6.1%16.1%11.4%24.6%4.2%4.7%-207.1K69.3K-40.0K0.3437.80N/AN/A277934,3265,009
2021-11-12$46.06$50.0020.4%5.9%16.3%10.3%20.3%4.0%4.9%-317.9K520.4K-38.3K1.9273.99N/AN/A1092094,3375,008
2021-11-15$45.90$50.0020.2%5.8%16.3%9.9%21.6%4.0%2.0%-391.8K1.0M-35.2K0.7679.37N/AN/A2221694,3355,076
2021-11-16$45.87$50.0020.1%5.8%15.7%9.8%21.7%3.8%2.0%-424.0K906.1K-36.8K0.8591.58N/AN/A1581344,4635,113
2021-11-17$46.24$50.0020.8%6.0%15.2%10.8%19.1%9.4%1.4%-304.5K1.8K-36.4K1.4492.81N/AN/A1672404,4915,123
2021-11-18$46.34$50.0020.3%5.8%15.0%10.1%20.8%2.8%-0.1%-295.6K-135.8K-36.9K1.2793.34N/AN/A1501914,4925,181
2021-11-19$46.62$50.0019.9%5.7%15.2%9.5%20.1%6.5%0.3%-127.7K-1.2M-36.4K1.3288.35N/AN/A1371814,5035,153
2021-11-22$46.82$50.0022.5%6.4%15.2%13.3%22.2%3.5%0.2%-79.7K-1.0M-30.5K0.3082.52N/AN/A3441043,8034,324
2021-11-23$46.72$50.0019.3%5.5%13.6%8.5%17.9%3.4%1.3%-44.0K-1.0M-36.1K0.3679.33N/AN/A2851033,9724,355
2021-11-24$46.78$50.0018.7%5.4%13.1%7.7%15.6%3.8%6.4%-64.6K-1.2M-31.9K0.3687.34N/AN/A276993,9714,357
2021-11-26$45.72$50.0020.3%5.8%14.1%10.0%20.2%72.5%-1.5%-263.8K1.3M-34.7K0.6199.50N/AN/A2881763,9794,367
2021-11-29$45.57$50.0024.1%6.9%14.2%15.8%26.0%12.0%-0.9%-231.6K1.4M-32.4K0.8792.77N/AN/A1561353,9914,413
2021-11-30$44.56$50.0034.1%9.8%16.2%30.7%35.2%15.4%13.2%-181.6K2.6M-37.4K1.51108.28N/AN/A1442173,9924,439